Week 4 of earnings season starts today. ORATS tracks the historical weekly price moves of firms and the moves expected by the options market. Typically, this week 4 has the highest moves in stocks versus what is implied by options prices.
Week 4 has paid off with the actual moves at 114% of the implied moves. By contrast, week 1 historically returned 87% of every dollar invested in straddles, and week 2 returned 85% of the investment.
Week 3 had an average net return to options straddle buyers at 104% returned and Week 5 had 108%.
Shopify $SHOP, Roku $ROKU, Beyond Meat $BYND, Uber $UBER, Disney $DIS, Pinterest $PINS, Buffalo Wild Wings $WING, and Wynn Resorts $WYNN are a few of the names reporting this week.
Here is a list of other names along with the straddle expected earnings move and the past average earnings move.
Sign up for the report to see the full list.
Another interesting statistic from this first quarter earnings season: The average percentage of firms beating estimates since 2006 is 73% and 75% over the last five years according to Deutsche Bank. Already, the current quarter fell below 70% and may continue to fall.
It should be a wild week in the market.
The views and opinions expressed herein are the views and opinions of the author and do not necessarily reflect those of Nasdaq, Inc.
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Matt Amberson
Matt Amberson, Principal and Founder of Option Research & Technology Services. ORATS was born out of a need by traders to get access to more accurate and realistic option research. Matt started ORATS to support his options market making firm where he would hire statistically minded individuals, put them on the floor, and develop research to aid in trading options. He is heavily involved with product design and quantitative research. ORATS offers data and backtesting on a subscription basis at www.orats.com. Matt has a Master’s degree from Kellogg School of Business.
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